Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Zai Lab Ltd. backtest
10 trend-following strategies were compared on the full daily history of Zai Lab Ltd.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.2%, MDD -20.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -22.1%, drawdown -92.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 9.2%, MDD -20.5%, Sharpe 0.96, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.3%p higher than buy and hold, while drawdown improves by 72.5%p (CAGR 9.2%, MDD -20.5%, exposure 3%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=40 |
9.2% | -20.5% | 0.96 | 0.45 | 1.7x | 2 | 3% |
| 볼린저 밴드 돌파 n=14, k=2.7 |
8.3% | -30.9% | 0.56 | 0.27 | 1.6x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3 |
5.9% | -28.9% | 0.46 | 0.21 | 1.4x | 8 | 7% |
| EMA 크로스오버 fast=54, slow=107 |
3.0% | -47.0% | 0.27 | 0.06 | 1.2x | 6 | 28% |
| Donchian 채널 돌파 entryN=26, exitN=72 |
-2.6% | -69.2% | 0.21 | -0.04 | 0.9x | 13 | 59% |
| SMA 크로스오버 fast=40, slow=207 |
0.7% | -33.3% | 0.18 | 0.02 | 1.0x | 6 | 22% |
| Supertrend period=21, mult=1.4 |
-3.8% | -74.6% | 0.15 | -0.05 | 0.8x | 120 | 43% |
| Parabolic SAR step=0.02, maxStep=0.22 |
-11.2% | -78.5% | -0.02 | -0.14 | 0.5x | 114 | 47% |
| ROC 모멘텀 n=41, threshold=0.04 |
-9.3% | -68.6% | -0.05 | -0.14 | 0.6x | 79 | 36% |
| MACD fast=11, slow=43, signal=13 |
-22.3% | -92.8% | -0.27 | -0.24 | 0.2x | 88 | 49% |
| Buy and hold | -22.1% | -92.9% | 0.00 | -0.24 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 18-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)